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SUMMARY:New copulae from an order-statistics approach - Rose Baker\, Unive
 rsity of Salford
DTSTART:20080311T143000Z
DTEND:20080311T153000Z
UID:TALK8544@talks.cam.ac.uk
CONTACT:Nikolaos Demiris
DESCRIPTION:A new system of multivariate distributions with fixed marginal
  distributions is introduced via the consideration of random variates that
  are randomly chosen pairs of order statistics of the marginal distributio
 ns. The distributions allow arbitrary positive or negative Pearson correla
 tions between pairs of random variates and generalize the Farlie-Gumbel-Mo
 rgenstern distribution. The copulas of these distributions are special cas
 es of the Bernstein copula. Generation of random numbers from the distribu
 tions is described\, and formulas for the  Kendall and grade (Spearman) co
 rrelations are given. Procedures for data fitting are described and illust
 rated with examples. The essential problem is that of identifying useful m
 odels with few parameters from a rich range of possibilities.
LOCATION:Large Seminar Room\, 1st Floor\, Institute of Public Health\, Uni
 versity Forvie Site\, Robinson Way\, Cambridge
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